Most cats are made of a ceramic core. It's filled with specially coated (platinum?) honeycombed cells that are heated and react chemically with the exhaust. As you can imagine, this arrangement is pretty delicate, so it's easy to do damage to your cat without actually putting a hole in the skin. If you do it just right, you can clog up the exhaust with the broken ceramic bits causing bad things to happen to your engine.

FWIW,
-Hop

ps -- I just took my cat conv off, which is actually more of a reason for a skid plate since a protruding rock will tend to catch on the pipe leading to the Staintune exhaust can.